Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0695 |
| Annualized Std Dev | 0.1853 |
| Annualized Sharpe (Rf=0%) | 0.3750 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5588.0000 |
| NAs | 1.0000 |
| Minimum | -0.0986 |
| Quartile 1 | -0.0052 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0063 |
| Maximum | 0.1205 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0001 |
| Stdev | 0.0117 |
| Skewness | -0.0064 |
| Kurtosis | 9.1051 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0084 |
| Gain Deviation | 0.0083 |
| Loss Deviation | 0.0087 |
| Downside Deviation (MAR=210%) | 0.0132 |
| Downside Deviation (Rf=0%) | 0.0082 |
| Downside Deviation (0%) | 0.0082 |
| Maximum Drawdown | 0.4058 |
| Historical VaR (95%) | -0.0181 |
| Historical ES (95%) | -0.0272 |
| Modified VaR (95%) | -0.0167 |
| Modified ES (95%) | -0.0232 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-12-11 | 2009-03-09 | 2012-03-13 | -0.4058 | 1072 | 312 | 760 |
| 2000-01-11 | 2001-09-20 | 2006-02-27 | -0.3332 | 1540 | 424 | 1116 |
| 2020-01-23 | 2020-03-23 | 2020-07-17 | -0.2875 | 123 | 42 | 81 |
| 2015-07-21 | 2016-02-11 | 2017-06-02 | -0.1774 | 472 | 143 | 329 |
| 2018-12-03 | 2018-12-24 | 2019-11-15 | -0.1582 | 241 | 15 | 226 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0.6 | -0.2 | 0 | -0.7 | 0.3 | 0.3 | -0.7 | 0.1 | -0.3 | 0.1 | -0.2 | 0.6 | -0.3 |
| 2000 | 1.3 | 0.8 | 1.8 | 0.3 | -0.6 | 0.3 | 0.9 | -0.1 | -0.3 | 0.7 | 0.7 | -1.1 | 4.7 |
| 2001 | 1.3 | -0.3 | 0.1 | 1.6 | -0.3 | 0.4 | -0.1 | 1 | -1.9 | 1.4 | 0.4 | -1.5 | 2 |
| 2002 | -0.2 | 1.9 | -0.9 | 1.8 | 0.7 | -4.2 | -2.8 | -0.3 | 3.1 | 1 | -0.4 | 0.5 | 0 |
| 2003 | 2 | 0.3 | 1.4 | 0.3 | 1.1 | 0.5 | -1.5 | 0.3 | 1.8 | 0.9 | 1.6 | 0.4 | 9.4 |
| 2004 | -0.5 | 0.3 | 0.7 | 0.1 | 0.5 | -1.4 | 0.4 | 0.4 | 0.9 | -0.9 | 1.7 | -0.4 | 1.7 |
| 2005 | 1 | 0.8 | -0.9 | 1.5 | 0.3 | -0.1 | 0.5 | 0 | 0.1 | -0.3 | 1 | -0.6 | 3.2 |
| 2006 | 0.6 | 0.1 | -0.6 | -0.9 | 1.4 | 0.6 | 0 | 0.5 | 0.3 | -0.7 | -0.1 | -0.3 | 1 |
| 2007 | 0.8 | -0.4 | 0 | 0.2 | 0.1 | -0.3 | 0.7 | 0.5 | 1.5 | -1.4 | 0.1 | -0.4 | 1.5 |
| 2008 | 0.5 | -1.4 | 1.6 | 1.8 | -0.2 | 0 | -0.8 | -1.1 | 0.7 | 0.1 | -5.1 | 0.9 | -3.1 |
| 2009 | -1.1 | -4 | 0 | -0.2 | 0.7 | 0.3 | -0.8 | -1.6 | -1.4 | -1.4 | 1.8 | -1.3 | -8.9 |
| 2010 | 0.6 | 1 | 0.6 | -1.3 | -1.1 | -0.9 | 0.4 | 2.3 | 0 | 0 | 1.9 | 0 | 3.4 |
| 2011 | 1.8 | -0.8 | 0.5 | -0.1 | -1.4 | 1.2 | -1.7 | -0.7 | -1.3 | -1.9 | 0.1 | -0.2 | -4.3 |
| 2012 | 1 | 0.5 | 0.8 | 0.4 | -1.8 | 1.9 | 0.1 | 0.3 | 0.6 | 0.8 | 0.1 | 1.1 | 5.8 |
| 2013 | 0.8 | 0.8 | 0.1 | -1.1 | -2.2 | 0.3 | 0.6 | -0.4 | 1.3 | 0.7 | -0.1 | -0.1 | 0.7 |
| 2014 | -0.9 | 0 | 0.6 | 0.2 | 0.3 | 1.3 | 0.1 | 0.4 | -1 | 0.4 | -0.2 | -1 | 0 |
| 2015 | -1.6 | -0.5 | -1 | 1.4 | 0.4 | 1.1 | 0.6 | -2.6 | 1 | -0.6 | 1.7 | -0.9 | -1.2 |
| 2016 | 0.2 | 2.1 | 1.1 | -1.6 | 0.4 | 0.6 | 0.6 | -0.3 | 1 | -0.5 | -0.7 | -0.4 | 2.6 |
| 2017 | 0.9 | 1 | -0.3 | 0.2 | 1.1 | -0.1 | -0.2 | -0.1 | 0.6 | 0.2 | -0.2 | -0.6 | 2.5 |
| 2018 | 0 | -1.6 | 0.8 | 0 | 1.2 | 0.2 | 0 | 0 | 0.5 | 1.3 | 2 | 1.5 | 5.9 |
| 2019 | 0.1 | 1.4 | 0.2 | -0.2 | -0.7 | 0.5 | 0.1 | 0.1 | -1 | 0.1 | -0.4 | 0.2 | 0.5 |
| 2020 | -2 | -1.3 | -3.8 | -1.9 | -1 | 0.8 | -0.6 | -0.9 | -0.3 | 0 | 0.8 | 1.1 | -8.9 |
| 2021 | 0.4 | 1.3 | 0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.1 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 1999-01-04 25.9 SPY 123. NA NA NA NA NA NA NA <NA> NA NA NA
2 1999-01-05 26.3 SPY 124. 0.0114 NA NA NA NA NA NA <NA> NA NA NA
3 1999-01-06 26.8 SPY 127. 0.0241 NA NA NA NA NA NA <NA> NA NA NA
4 1999-01-07 26.7 SPY 127. -0.0049 NA NA NA NA NA NA <NA> NA NA NA
5 1999-01-08 27.0 SPY 128. 0.0074 NA NA NA NA NA NA <NA> NA NA NA
6 1999-01-11 27.0 SPY 127. -0.0095 0.0284 NA NA NA NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
